We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald's (1997) Bayesian Information...

We provide plausibly causal evidence for the role of cultural and linguistic diversity in stock price crash risk. Using unique data from China, we show that firms headquartered in linguistically diverse areas, instrumented by the extent of geographical isolation, have higher stock price crash...